Predictions of Default Probabilities in Structural Models of Debt

184 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Corporate Bond Default Risk: A 150-Year Perspective (2011, unknown): “Significant extensions of the basic structural credit framework include Black and Cox (1976), Geske (1977), Leland (1994, 2004), Longstaff and Schwartz (1995), Goldstein, Ju, and Leland (2001), Collin-Dufresne and Goldstein (2001), and many others.”
Financial Synergies and the Optimal Scope of the Firm: Implications for Mergers, Spinoffs, and Structured Finance (2007, background): “Lewellen (1971) correctly argues that combining imperfectly correlated assets, while not valueenhancing per se, has a coinsurance effect: it reduces the risk of default, and thereby increases a measure of debt capacity.”
Credit Spreads: An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS (2009, methodology): “To check for this possibility we repeat the analysis by considering alternative ICS series where the default point parameter, b, is exogenously fixed at 0.73 (Leland (2004)).”
On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle (2009, unknown): “See, for example, Duffie and Singleton (1997), Duffee (1999), Elton et al. (2001), Leland (2004), Geske and Delianedis (2003), Driessen (2005), Feldhutter and Lando (2008), Ericsson and Renault (2006), Longstaff, Mithal, and Neis (2005), and Chen, Lesmond, and Wei (2007).”